|
Total.Trades
|
821
|
|
Average.Win
|
1.97%
|
|
Average.Loss
|
-1.84%
|
|
Compounding.Annual.Return
|
7.667%
|
|
Drawdown
|
52.300%
|
|
Expectancy
|
0.182
|
|
Net.Profit
|
230.444%
|
|
Sharpe.Ratio
|
0.543
|
|
Probabilistic.Sharpe.Ratio
|
2.653%
|
|
Loss.Rate
|
43%
|
|
|
Win.Rate
|
57%
|
|
Profit.Loss.Ratio
|
1.07
|
|
Alpha
|
0.003
|
|
Beta
|
0.777
|
|
Annual.Standard.Deviation
|
0.17
|
|
Annual.Variance
|
0.029
|
|
Information.Ratio
|
-0.248
|
|
Tracking.Error
|
0.089
|
|
Treynor.Ratio
|
0.119
|
|
Total.Fees
|
$821.00
|
|
Estimated.Strategy.Capacity
|
$310000.00
|
|